According to the anti-procyclicality model МААРС of CCP NCC volatility in Brent oil futures is decreasing. CCP NCC sets the following market risk rates from 7 p.m. on January, 10, 2022:
#
Underlying
Futures contract
Current market risk rates
Market risk rates
from 7 p.m. 10.01.2022
MR1
MR2
MR3
MR1
MR2
MR3
1
BR
on Brent oil
25%
30%
38%
15%
20%
28%
2
CL
on Light Sweet Crude Oil
25%
30%
38%
20%
25%
33%
Detailed information about the anti-procyclicality model МААРС you may find at CCP NCC website.
